tea-bond 0.3.12__tar.gz → 0.3.13__tar.gz

{tea_bond-0.3.12 → tea_bond-0.3.13}/Cargo.lock

@@ -2195,7 +2195,7 @@ dependencies = [
 
 [[package]]
 name = "pybond"
-version = "0.3.12"
+version = "0.3.13"
 dependencies = [
  "chrono",
  "itertools 0.14.0",
@@ -3117,7 +3117,7 @@ dependencies = [
 
 [[package]]
 name = "tea-bond"
-version = "0.3.12"
+version = "0.3.13"
 dependencies = [
  "anyhow",
  "chrono",
@@ -3136,7 +3136,7 @@ dependencies = [
 
 [[package]]
 name = "tea-calendar"
-version = "0.3.12"
+version = "0.3.13"
 dependencies = [
  "chrono",
 ]

{tea_bond-0.3.12 → tea_bond-0.3.13}/Cargo.toml

@@ -4,7 +4,7 @@ default-members = ["tea-bond", "tea-calendar"]
 resolver = "2"
 
 [workspace.package]
-version = "0.3.12"
+version = "0.3.13"
 edition = "2024"
 
 [workspace.dependencies]

{tea_bond-0.3.12 → tea_bond-0.3.13}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: tea-bond
-Version: 0.3.12
+Version: 0.3.13
 Classifier: Programming Language :: Rust
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Programming Language :: Python :: Implementation :: PyPy

{tea_bond-0.3.12/pybond → tea_bond-0.3.13}/pybond/pd.py

@@ -291,6 +291,12 @@ class TfEvaluators:
             "last_trading_date"
         ].to_pandas()
 
+    @property
+    def remain_year(self):
+        return self.pl_df.select(remain_year=self._evaluators.remain_year)[
+            "remain_year"
+        ].to_pandas()
+
 
 class Bonds:
     """
@@ -387,6 +393,12 @@ class Bonds:
             "remain_cp_num"
         ].to_pandas()
 
+    def remain_year(self, date: str | pd.Series):
+        df = pl.DataFrame({"bond": self.bond, "date": date})
+        return df.select(remain_year=PlBonds("bond").remain_year("date"))[
+            "remain_year"
+        ].to_pandas()
+
 
 class Futures:
     def __init__(self, future: str | pd.Series):

{tea_bond-0.3.12/pybond → tea_bond-0.3.13}/pybond/pl.py

@@ -269,6 +269,19 @@ class TfEvaluators:
         """
         return self._call_plugin("evaluators_last_trading_date")
 
+    @property
+    def remain_year(self):
+        """
+        Calculate bond remaining year (债券剩余期限).
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            Polars expression for bond remaining year
+        """
+        return self._call_plugin("evaluators_remain_year")
+
 
 class Bonds:
     """
@@ -310,6 +323,12 @@ class Bonds:
             reinvest_rate=None,
         )
 
+    def remain_year(self, date: IntoExpr = "date"):
+        """
+        Calculate remain year for the bond (剩余期限).
+        """
+        return self._evaluator(date=date).remain_year
+
     def accrued_interest(self, date: IntoExpr = "date"):
         """
         Calculate accrued interest for the bond (应计利息).

{tea_bond-0.3.12 → tea_bond-0.3.13/pybond}/pybond/pd.py

@@ -291,6 +291,12 @@ class TfEvaluators:
             "last_trading_date"
         ].to_pandas()
 
+    @property
+    def remain_year(self):
+        return self.pl_df.select(remain_year=self._evaluators.remain_year)[
+            "remain_year"
+        ].to_pandas()
+
 
 class Bonds:
     """
@@ -387,6 +393,12 @@ class Bonds:
             "remain_cp_num"
         ].to_pandas()
 
+    def remain_year(self, date: str | pd.Series):
+        df = pl.DataFrame({"bond": self.bond, "date": date})
+        return df.select(remain_year=PlBonds("bond").remain_year("date"))[
+            "remain_year"
+        ].to_pandas()
+
 
 class Futures:
     def __init__(self, future: str | pd.Series):

{tea_bond-0.3.12 → tea_bond-0.3.13/pybond}/pybond/pl.py

@@ -269,6 +269,19 @@ class TfEvaluators:
         """
         return self._call_plugin("evaluators_last_trading_date")
 
+    @property
+    def remain_year(self):
+        """
+        Calculate bond remaining year (债券剩余期限).
+
+        Args:
+            date: Evaluation date column expression
+
+        Returns:
+            Polars expression for bond remaining year
+        """
+        return self._call_plugin("evaluators_remain_year")
+
 
 class Bonds:
     """
@@ -310,6 +323,12 @@ class Bonds:
             reinvest_rate=None,
         )
 
+    def remain_year(self, date: IntoExpr = "date"):
+        """
+        Calculate remain year for the bond (剩余期限).
+        """
+        return self._evaluator(date=date).remain_year
+
     def accrued_interest(self, date: IntoExpr = "date"):
         """
         Calculate accrued interest for the bond (应计利息).

{tea_bond-0.3.12 → tea_bond-0.3.13}/pybond/src/batch_eval.rs

@@ -207,7 +207,7 @@ fn evaluators_net_basis_spread(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_net_basis_spread().unwrap(),
-        |e: &TfEvaluator| e.net_basis_spread,
+        |e: &TfEvaluator| e.net_basis_spread.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -273,7 +273,7 @@ fn evaluators_dirty_price(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Po
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_dirty_price().unwrap(),
-        |e: &TfEvaluator| e.dirty_price,
+        |e: &TfEvaluator| e.dirty_price.filter(|v| !v.is_nan()),
         false,
         true,
     )?
@@ -288,7 +288,7 @@ fn evaluators_clean_price(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Po
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_clean_price().unwrap(),
-        |e: &TfEvaluator| e.clean_price,
+        |e: &TfEvaluator| e.clean_price.filter(|v| !v.is_nan()),
         false,
         true,
     )?
@@ -306,7 +306,7 @@ fn evaluators_future_dirty_price(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_future_dirty_price().unwrap(),
-        |e: &TfEvaluator| e.future_dirty_price,
+        |e: &TfEvaluator| e.future_dirty_price.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -324,7 +324,7 @@ fn evaluators_deliver_cost(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_deliver_cost().unwrap(),
-        |e: &TfEvaluator| e.deliver_cost,
+        |e: &TfEvaluator| e.deliver_cost.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -342,7 +342,7 @@ fn evaluators_basis_spread(
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_basis_spread().unwrap(),
-        |e: &TfEvaluator| e.basis_spread,
+        |e: &TfEvaluator| e.basis_spread.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -357,7 +357,7 @@ fn evaluators_f_b_spread(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Pol
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_f_b_spread().unwrap(),
-        |e: &TfEvaluator| e.f_b_spread,
+        |e: &TfEvaluator| e.f_b_spread.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -372,7 +372,7 @@ fn evaluators_carry(inputs: &[Series], kwargs: EvaluatorBatchParams) -> PolarsRe
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_carry().unwrap(),
-        |e: &TfEvaluator| e.carry,
+        |e: &TfEvaluator| e.carry.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -387,7 +387,7 @@ fn evaluators_duration(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Polar
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_duration().unwrap(),
-        |e: &TfEvaluator| e.duration,
+        |e: &TfEvaluator| e.duration.filter(|v| !v.is_nan()),
         false,
         true,
     )?
@@ -402,7 +402,7 @@ fn evaluators_irr(inputs: &[Series], kwargs: EvaluatorBatchParams) -> PolarsResu
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_irr().unwrap(),
-        |e: &TfEvaluator| e.irr,
+        |e: &TfEvaluator| e.irr.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -417,7 +417,7 @@ fn evaluators_future_ytm(inputs: &[Series], kwargs: EvaluatorBatchParams) -> Pol
         inputs,
         kwargs,
         |e: TfEvaluator| e.with_future_ytm().unwrap(),
-        |e: &TfEvaluator| e.future_ytm,
+        |e: &TfEvaluator| e.future_ytm.filter(|v| !v.is_nan()),
         true,
         true,
     )?
@@ -524,6 +524,26 @@ fn evaluators_last_trading_date(
     Ok(result.into_date().into_series())
 }
 
+#[polars_expr(output_type=Date)]
+fn evaluators_remain_year(
+    inputs: &[Series],
+    kwargs: EvaluatorBatchParams,
+) -> PolarsResult<Series> {
+    let result: Float64Chunked = batch_eval(
+        inputs,
+        kwargs,
+        |e: TfEvaluator| e,
+        |e: &TfEvaluator| {
+            Some(e.bond.remain_year(e.date))
+        },
+        false,
+        true,
+    )?
+    .into_iter()
+    .collect_trusted();
+    Ok(result.into_series())
+}
+
 #[derive(Deserialize)]
 struct FindWorkdayKwargs {
     market: Market,

{tea_bond-0.3.12 → tea_bond-0.3.13}/tea-bond/src/bond/mod.rs

@@ -115,6 +115,7 @@ impl Bond {
             0 => Ok(Months::new(0)),
             1 => Ok(Months::new(12)),
             2 => Ok(Months::new(6)),
+            4 => Ok(Months::new(3)),
             _ => bail!("Invalid inst_freq: {}", self.inst_freq),
         }
     }

{tea_bond-0.3.12 → tea_bond-0.3.13}/tea-bond/src/tf_evaluator/evaluator.rs

@@ -139,8 +139,12 @@ impl TfEvaluator {
     }
     /// 计算剩余付息次数
     #[inline]
-    pub fn with_remain_cp_num(self) -> Result<Self> {
+    pub fn with_remain_cp_num(mut self) -> Result<Self> {
         if self.remain_cp_num.is_none() {
+            if self.bond.is_zero_coupon() {
+                self.remain_cp_num = Some(0);
+                return Ok(self);
+            }
             let mut out = self.with_nearest_cp_dates()?;
             out.remain_cp_num = Some(
                 out.bond
@@ -154,8 +158,12 @@ impl TfEvaluator {
 
     /// 计算应计利息
     #[inline]
-    pub fn with_accrued_interest(self) -> Result<Self> {
+    pub fn with_accrued_interest(mut self) -> Result<Self> {
         if self.accrued_interest.is_none() {
+            if self.bond.is_zero_coupon() {
+                self.accrued_interest = Some(0.);
+                return Ok(self);
+            }
             let mut out = self.with_nearest_cp_dates()?;
             out.accrued_interest = Some(
                 out.bond
@@ -169,8 +177,13 @@ impl TfEvaluator {
 
     /// 计算债券全价
     #[inline]
-    pub fn with_dirty_price(self) -> Result<Self> {
+    pub fn with_dirty_price(mut self) -> Result<Self> {
         if self.dirty_price.is_none() {
+            if self.bond.is_zero_coupon() {
+                let remain_year = self.bond.remain_year(self.date);
+                self.dirty_price = Some(100.0 / (1.0+self.bond.ytm()).powf(remain_year));
+                return Ok(self);
+            }
             let mut out = self.with_remain_cp_num()?;
             out.dirty_price = Some(out.bond.calc_dirty_price_with_ytm(
                 out.bond.ytm(),
@@ -198,8 +211,12 @@ impl TfEvaluator {
 
     /// 计算久期
     #[inline]
-    pub fn with_duration(self) -> Result<Self> {
+    pub fn with_duration(mut self) -> Result<Self> {
         if self.duration.is_none() {
+            if self.bond.is_zero_coupon() {
+                self.duration = Some(self.bond.remain_year(self.date));
+                return Ok(self);
+            }
             let mut out = self.with_remain_cp_num()?;
             out.duration = Some(out.bond.calc_duration(
                 out.bond.ytm(),